Do both the long and short sides of portfolios used to quantify widely accepted equity factors benefit investors? In their November 2019 paper entitled “When Equity Factors Drop Their Shorts”, David Blitz, Guido Baltussen and...
Below is a weekly summary of our research findings for 12/9/19 through 12/13/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Do differences in expectations between institutional and individual investors in stocks and bonds, as quantified in weekly legacy Commitments of Traders (COT) reports, offer exploitable timing signals? In the February 2019 revision of his paper...
What does it mean when the number of stock funds exceeds the number of stocks they hold? In their October 2019 paper entitled “What Happens with More Funds than Stocks?”, Ananth Madhavan, Aleksander Sobczyk and...
A subscriber proposed an alternative to the strategy tested in “Using P/E10 Thresholds to Time the U.S. Stock Market”, which rebalances a stocks-bonds portfolio based on Shiller cyclically adjusted price-to-earnings ratio (P/E10 or CAPE) thresholds,...
Are Bollinger Bands (BB) useful for deciding when to buy low and when to sell high the overall U.S. stock market? In other words, can an investor beat a buy-and-hold strategy by systematically buying (selling)...
Below is a weekly summary of our research findings for 12/2/19 through 12/6/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Which equity factors from among those included in the most widely accepted factor models are really important? In their October 2019 paper entitled “Winners from Winners: A Tale of Risk Factors”, Siddhartha Chib, Lingxiao Zhao,...
Can investors exploit information about hedge fund stock holdings in SEC Form 13F filings? In their October 2019 paper entitled “Systematic 13F Hedge Fund Alpha”, Mobeen Iqbal, Farouk Jivraj and Luca Angelini investigate whether carefully...
When a retirement portfolio veers from its planned path, is it better to count on reversion-to-path or adjust the plan? In his March 2019 paper entitled “Managing to Target: Dynamic Adjustments for Accumulation Strategies”, Javier...
Who beats the stock market and why? In his October 2019 paper entitled “The Five Investor Camps That Try to Beat the Stock Market”, William Ziemba discusses how different categories of investors succeed. For investors...
A subscriber requested verification of a fundamental U.S. stock market timing strategy with rebalancing/reallocation of a stocks-bonds portfolio based on Shiller cyclically adjusted price-to-earnings ratio (P/E10 or CAPE) thresholds, as follows: If P/E10 > 22,...
Below is a weekly summary of our research findings for 11/25/19 through 11/29/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Are Morningstar mutual fund profiles accurate? In their October 2019 paper entitled “Don’t Take Their Word For It: The Misclassification of Bond Mutual Funds”, Huaizhi Chen, Lauren Cohen and Umit Gurun examine whether aggregate credit...
What are asset class return expectations and associated portfolio allocations of very sophisticated U.S. investors? In their February 2019 paper entitled “The Return Expectations of Institutional Investors”, Aleksandar Andonov and Joshua Rauh analyze disclosures of...
Below is a weekly summary of our research findings for 11/18/19 through 11/22/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does the market react most strongly to the earliest quarterly earnings announcements? In their October 2019 paper entitled “Calendar Rotations: A New Approach for Studying the Impact of Timing using Earnings Announcements”, Suzie Noh, Eric...
Are there relationships between (1) the stock market outlook expressed by a U.S. equity mutual fund manager in semi-annual reports and (2) positioning and performance of that fund? In his October 2019 preliminary paper entitled...
Do U.S. equity exchange-traded funds (ETF) exhibit long-term momentum? In their October 2019 paper entitled “ETF Momentum”, Frank Li, Melvyn Teo and Chloe Yang investigate future performance of U.S. equity ETFs sorted on multi-year past...
Below is a weekly summary of our research findings for 11/11/19 through 11/15/19. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to...
Does including a measure of asset valuation as a qualifier improve the performance of intrinsic (absolute or time series) momentum? In their October 2019 paper entitled “Carry and Time-Series Momentum: A Match Made in Heaven”,...
A subscriber asked for an update on the effectiveness of applying a two-period Relative Strength Index, RSI(2), to leveraged exchange-traded funds (ETF), with two pairs of trade entry (oversold) and exit (overbought) settings: Buy when RSI(2) falls...
What are ways to mitigate biases that interfere with rational investment decision-making? In their September 2019 paper entitled “The Psychology of Financial Professionals and Their Clients”, Kent Baker, Greg Filbeck and Victor Ricciardi describe common...
When media recommend stocks, should investors pay attention? To check, we look at performance of stock recommendations for 2019 from December 2018 articles in several publications. Specifically, we test: 10 buy recommendations from InvestorPlace published...
Does careful accounting for transitory expenses in SEC Form 10-Ks provide a better view of future firm/stock performance than that provided by Generally Accepted Accounting Practices (GAAP) earnings per share (EPS)? In their October 2019...